臺灣博碩士論文加值系統

在IAS 39規範之下，銀行必須以「已發生損失模式」認列壞帳費用，然而，自全球金融海嘯爆發之後，已發生損失模式被認為是導致遞延壞帳認列的主要原因之一。因此，預計於2018年實施的IFRS 9取消已發生損失模式，改以「預期損失模式」認列壞帳費用，學者及市場參與者也對壞帳認列及時性的原因及結果進行研究。
本研究使用2002年至2014年美國銀行控股公司資料作為研究樣本，以本期壞帳費用為依變數，下期不良債權為預期壞帳之代理變數，並以資本適足率及提列壞帳費用前之稅前盈餘作為提列壞帳之調節變數，分析資本適足率及盈餘對於壞帳認列及時性的影響。研究結果顯示資本適足率較高的銀行認列較多且較及時的壞帳費用，而盈餘較高的銀行亦認列較多且較及時的壞帳費用。
本研究亦執行額外測試，檢測2007年至2009年之金融海嘯是否影響原實證結果。排除該三年之樣本後，發現盈餘較高的銀行亦認列較多且較及時的壞帳費用，但資本適足率對壞帳認列及時性的影響則不顯著。

Using a sample of U.S. bank holding companies from 2002 to 2014, I find banks with above-median total capital ratio recognize larger and timelier loan loss provisions. In addition, banks record larger amount of loan loss when they have higher earnings before loan loss provisions and income taxes. These results are consistent with the view that well-capitalized banks are more capable to record timelier loan loss provision, and are more conservative toward credit risk management. Also, the result suggests banks with higher income provide timelier information regarding loan losses.
I also conduct an additional test to examine if the empirical result is driven by financial crisis. I exclude bank-year observations from 2007 to 2009 to address the concerns. I continue to find that current earnings are positively associated with timely recognition of loan loss provisions, but fail to document a relationship between capital ratio and loan loss recognition timeliness.

1.Introduction 1
2.Background and Development of Research Questions 7
2.1 Accounting standards of loan loss recognition 7
2.1.1 IAS 39 and incurred loss model 8
2.1.2 Reinterpreting IAS 39 9
2.1.3 From IAS 39 to IFRS 9 Expected Credit Loss Model
10
2.2 Loan loss recognition timeliness 11
2.3 Regulatory Capital Ratio and Loan Loss Provisioning 13
2.3.1 Why is bank capital regulated? 13
2.3.2 The effect of Bank regulatory capital on loan loss provisioning timeliness 14
2.4 Earnings and loan loss provisioning 16
3. Model Construction 18
3.1 Dependent variable 19
3.2 Explanatory variables 19
3.3 Other control variables 22
4. Sample Selection and Descriptive Statistics 24
5. Results 31
6. Additional test 35
7. Conclusion 38
Reference 40

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